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| Author: | Wei, J.Z. |
| Title: | A multi-factor, credit migration model for sovereign and corporate debts |
| Journal: | Journal of International Money and Finance
2003 : AUG, VOL. 22:4, p. 709-735 |
| Index terms: | Corporate finance Credit rating Debt Markov chains |
| Language: | eng |
| Abstract: | A multi-factor, Markov chain model is developed for rating migrations and credit spreads that is applicable to both sovereign and corporate debts. The model's central feature is to allow transition matrices to be time-varying and driven by rating specific latent variables which encompass economic factors like the business cycle. |
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